The Grossman-Stiglitz framework assumes participants are making voluntary, optimizing decisions. It doesn’t account for the opportunity marginal participant, the forced trader whose constraints create inefficiencies that cannot be arbitraged away by speed alone.

When an index fund must buy on a specific day because index rules require it, that’s not an information signal—it’s mechanical flow. Price moves not because of new information about value, but because of the buying pressure itself. Patient, unconstrained traders can exploit this—not by being faster, but by providing liquidity when the opportunity marginal participant needs it most.